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Prediction and Conditional Simulation of a 2D Lognormal Diffusion Random Field

Author

Listed:
  • R. Gutiérrez

    (University of Granada)

  • C. Roldán

    (University of Jaén)

  • R. Gutiérrez-Sánchez

    (University of Granada)

  • J. M. Angulo

    (University of Granada)

Abstract

This paper describes techniques for estimation, prediction and conditional simulation of two-parameter lognormal diffusion random fields which are diffusions on each coordinate and satisfy a particular Markov property. The estimates of the drift and diffusion coefficients, which characterize the lognormal diffusion random field under certain conditions, are used for obtaining kriging predictors. The conditional simulations are obtained using the estimates of the drift and diffusion coefficients, kriging prediction and unconditional simulation for the lognormal diffusion random field.

Suggested Citation

  • R. Gutiérrez & C. Roldán & R. Gutiérrez-Sánchez & J. M. Angulo, 2007. "Prediction and Conditional Simulation of a 2D Lognormal Diffusion Random Field," Methodology and Computing in Applied Probability, Springer, vol. 9(3), pages 413-423, September.
    • Handle: RePEc:spr:metcap:v:9:y:2007:i:3:d:10.1007_s11009-007-9029-3
    DOI: 10.1007/s11009-007-9029-3
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    References listed on IDEAS

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    1. Nualart, D., 1983. "Two-parameter diffusion processes and martingales," Stochastic Processes and their Applications, Elsevier, vol. 15(1), pages 31-57, June.
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